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- Product code: 15530
- ISBN: 1403904588,
ISBN13: 9781403904584,
464 pages, hardback
Published by Palgrave MacMillan on 2002
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Rating: 5.0/5 (2 votes cast)
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Description of Quantitative Portfolio Optimisation, Asset Allocation and Risk Management |
Targeted towards institutional asset managers in general and chief investment officers, portfolio managers and risk managers in particular, this practical text serves as a comprehensive guide to quantitative portfolio optimization, asset allocation and risk management. Providing an accessible yet rigorous approach to investment management, it gradually introduces ever more advanced quantitative tools for these areas. Using extensive examples, this book guides the reader from basic return and risk analysis, all the way through to portfolio optimization and risk characterization, and finally on to fully fledged quantitative asset allocation and risk management. It employs such tools as enhanced modern portfolio theory using Monte Carlo simulation and advanced return distribution analysis, analysis of marginal contributions to absolute and active portfolio risk, value at risk and extreme value theory. All this is performed within the same conceptual, theoretical and empirical framework, providing a self-contained, comprehensive reading experience with a strongly practical aim.
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Contents of Quantitative Portfolio Optimisation, Asset Allocation and Risk Management |
PART 1: A BASIS FOR QUANTITATIVE PORTFOLIO MANAGEMENT
Asset Management Basics
Asset Return
Asset Risk
Asset Pricing
PART 2: MODERN PORTFOLIO THEORY
Efficient Portfolios and Quantitative Portfolio Optimisation
Estimating Model Parameters
PART 3: QUANTITATIVE ASSET ALLOCATION
Quantitative Portfolio Construction and Asset Allocation
QuasiRandom Monte Carlo Simulated Asset Allocation (QRMCSAA)
Strategic and Tactical Asset Allocation
QRMCSAA Applied to Sector Rotation
PART 4: QUANTITATIVE RISK MANAGEMENT
Tracking Error, Information Ratio and Active Management Value Added
Sector Risk Model
Value at Risk
Extreme Value Theory
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About Mikkel Rasmussen |
MIKKEL RASMUSSEN has an MSc in Economics and has worked both as a risk management consultant and equity portfolio manager. He currently manages Japanese equities at AEGON Asset Management in the Netherlands.
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